Asymptotic Inference about Predictive Ability
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Publication:4895056
DOI10.2307/2171956zbMath0854.62101OpenAlexW3122351404WikidataQ59486380 ScholiaQ59486380MaRDI QIDQ4895056
Publication date: 13 October 1996
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171956
efficiencynonlinear modelssimulationsmodel comparisonforecast evaluationpredictive abilityprediction errorsout-of-sample predictionsestimated regression parametersmoments of smooth functions
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)
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